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• W2892476675 abstract "Nearly 60 years ago, in a celebrated paper of Kalman and Bucy, it was established that optimal estimation for linear Gaussian systems is dual to a linear-quadratic optimal control problem. In this paper, for the first time, a duality result is established for a general nonlinear filtering problem, mirroring closely the original Kalman-Bucy duality of control and estimation for linear systems. The main result is presented for a finite state space Markov process in continuous time. It is used to derive the classical Wonham filter. The form of the result suggests a natural generalization which is presented as a conjecture for the continuous state space case." @default.
• W2892476675 created "2018-10-05" @default.
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• W2892476675 date "2018-09-27" @default.
• W2892476675 modified "2023-09-28" @default.
• W2892476675 title "Duality for Nonlinear Filtering" @default.
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• W2892476675 hasPublicationYear "2018" @default.
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